Modelling credit spreads on yen Eurobonds within an equilibrium correction framework

This study develops an equilibrium correction model (ECM) of the credit spreads on quality Japanese yen Eurobonds based on the Longstaff and Schwartz (1995) continuous time, closed form solution of the arbitrage-free value on risky debt. The solution predicts testable relationships between the credit spread and several important factors involved, including the risk-free interest rate, firm asset volatility, and the firm asset return correlation with changes in the risk-free rate. In the frictionless continuous time approach a key assumption is that the markets adjust without delays to the new equilibrium. In reality, however, adjustments take time, such that the markets may be temporally out of the equilibrium. The results of this study show that unlike other findings from the USA, Japanese spreads are stationary. Accordingly, an implied equilibrium correction procedure is incorporated into the modelling process. While traditional theories of credit-spread behaviour predict that changes in the risk free interest rate and asset factors are negatively correlated with changes in credit spreads on risky bonds, it is found that the asset factor, as proxied by the change in the stock market index, has only a very limited effect, whereas the interest rate factor has the over-riding influence both in the long and short run. Furthermore, whereas an increase in asset volatility should have an increasing effect on the credit spread, it is found that the prevailing spread change volatility has a more pronounced effect. There is also evidence that changes in the term structure affects both the long run equilibrium as well as the short run changes in the spread. Furthermore, the asset return correlation with the risk free rate receives empirical support to affect the credit spread in the manner predicted by the Longstaff and Schwartz (1995) theoretical model. © 2006 Taylor & Francis

THE TIME-VARYING BEHAVIOUR OF CREDIT SPREADS ON YEN EUROBONDS

This study develops an equilibrium model of credit spreads on Japanese yen Eurobonds based on a model proposed by Collin-Dufresne, Goldstein and Martin (2001). We find the asset factor, as proxied by the change in the stock market index, has only a limited effect, while the interest rate factor has the over-riding influence. There is also evidence that currency volatility and changes in the term structure occasionally have an effect on spread behaviour. Analysis over several subperiods, based around key economic events, demonstrates that the relative weight of these explanatory variables change over time. © 2003 Elsevier Ltd. All rights reserved

Different beta estimation techniques in infrequently traded and inefficient stock markets

This paper investigates the characteristics of different beta estimation techniques in infrequently traded and inefficient stock markets. These markets are artificially created from actual stock market data by removing return observations and by delaying the information transfer from market returns to individual stocks. Alternative beta estimation techniques are reported to behave differently in different types of markets.estimation beta estimation inefficient stock markets infrequently traded stock markets

Effects of an Individualized Active Aging Counseling Intervention on Mobility and Physical Activity: Secondary Analyses of a Randomized Controlled Trial

Objectives: The aim of this study was to report preplanned secondary analyses of the effects of a 12-month individualized active aging counseling intervention on six mobility and physical activity outcomes. Methods: A two-arm, single-blinded randomized controlled trial was conducted among 75- and 80-year-old community-dwelling people. The intervention group (IG, n = 101) received counseling aimed at increasing self-selected, primarily out-of-home activity. The control group (CG, n = 103) received general health information. Data were analyzed with generalized estimating equations. Results: Physical performance improved in the IG more than that in the CG (group by time p =.022), self-reported physical activity increased in both groups (time p =.012), and autonomy in outdoor mobility declined in the IG and was enhanced in the CG (group by time p =.011). No change was observed for life-space mobility, proportion of persons perceiving difficulty walking 2 km, or monitored physical activity. Discussion: Individualized counseling aiming at increasing self-selected out-of-home activity had nonsystematic effects on mobility and positively affected physical performance only. © The Author(s) 2020

Hydrophilic Auristatin Glycoside Payload Enables Improved Antibody-Drug Conjugate Efficacy and Biocompatibility

Antibody-drug conjugates (ADCs) offer a combination of antibody therapy and specific delivery of potent small-molecule payloads to target cells. The properties of the ADC molecule are determined by the balance of its components. The efficacy of the payload component increases with higher drug-to-antibody ratio (DAR), while homogeneous DAR = 8 ADCs are easily prepared by conjugation to the four accessible antibody hinge cystines. However, use of hydrophobic payloads has permitted only DAR = 2–4, due to poor pharmacokinetics and aggregation problems. Here, we describe generation and characterization of homogeneous DAR = 8 ADCs carrying a novel auristatin β-D-glucuronide, MMAU. The glycoside payload contributed to overall hydrophilicity of the ADC reducing aggregation. Compared to standard DAR = 2–4 ADCs, cytotoxicity of the homogeneous DAR = 8 ADCs was improved to low-picomolar IC50 values against cancer cells in vitro. Bystander efficacy was restored after ADC internalization and subsequent cleavage of the glycoside, although unconjugated MMAU was relatively non-toxic to cells. DAR = 8 MMAU ADCs were effective against target antigen-expressing xenograft tumors. The ADCs were also studied in 3D in vitro patient-derived xenograft (PDX) assays where they outperformed clinically used ADC. In conclusion, increased hydrophilicity of the payload contributed to the ADC’s hydrophilicity, stability and safety to non-target cells, while significantly improving cytotoxicity and enabling bystander efficacy